Influence of the Price of Gold, The Price of Crude Oil, and Exchange Rate to Bitcoin Prices During the Covid-19 Pandemic

The covid 19 pandemic has a negative impact globally, such as financial crisis, political crisis, high unemployment rate, disruption supply chain. This study is examining the relationship between the price of gold, the price of crude oil, and exchange rate (USD/IDR) to Bitcoin during the Covid-19. A time series analysis by using ADCC-GARCH method and a simple linear regression are conducted in this research. The result shows that USD/IDR exchange rate doesn’t have a significant relationship to Bitcoin, while there’s a significant relationship between the price of gold and Bitcoin price. In addition, the price of crude oil has a significant relationship to Bitcoin price.


Research Background
The global economy is certainly progressing, alongside technological developments caused by globalization.Cryptocurrency is one of the emerging new financial assets.Bitcoin is a cryptocurrency asset that was first introduced in 2008 by a figure known as Satoshi Nakamoto.Bitcoin was introduced as a decentralized peer-to-peer electronic payment instrument (Nakamoto, 2008).Since the introduction of Bitcoin in 2008, approximately more than 1,600 crypto assets have been listed on crypto exchanges, both local and global crypto exchanges.The goal of developing Bitcoin as a cryptocurrency asset is to address the need for a system that accepts and charges low fees for transactions without the use of trusted thirdparty intermediaries such as banks (Rejeb et al., 2021).In March 2020, the price of Bitcoin the price of Bitcoin fell by -63.39%, however it increased peaking at $ 69,000 (IDR 1,035,000,000), or a gain of about 1,358.07%and reaching its new all time high.The Covid 19 pandemic also led to high volatility in Bitcoin prices.As a result, investors are looking for a safe place to protect the value of their investments against market fluctuations that affect Bitcoin prices.
The pandemic has caused a significant economic contraction in the United States, with the country experiencing its worst recession since the Great Depression.The US economy contracted by 3.5% in 2020, compared to 2.2% growth in 2019 (US Bureau of Economic Analysis, 2021).The pandemic has caused widespread unemployment, with millions of Americans losing their jobs due to business closures and reduced demand.The US government has implemented various economic stimulus packages, including direct cash payments to individuals and businesses, to support the economy during the pandemic (Congressional Research Service, 2021).
Gold and crude oil are two commodities that play an important role in the global economy and have a large impact on financial markets.Gold is often seen as a safe haven asset that is in high demand during times of uncertainty and economic stress.Gold prices surged during the COVID-19 pandemic as investors sought safe-haven assets amid market volatility.Similarly, crude oil prices have been hit hard by the pandemic, with demand collapsing due to slowdowns in travel and economic activity.This led to a significant drop in crude oil prices, with April 2020 West Texas Intermediate (WTI) crude oil futures trading below zero for the first time in history.
The US Dollar against Indonesian Rupiah currencies have also been heavily impacted by the COVID-19 pandemic.Many countries are experiencing currency volatility and devaluation as a result of the pandemic.In Indonesia, the pandemic led to a significant devaluation of the Indonesian rupiah in 2020, with the currency depreciating by about 5% against the US dollar.Similarly, the US Dollar has fluctuated significantly during the pandemic as investors sought a safe haven currency amid market volatility.
In summary, the COVID-19 pandemic has severely impacted the global economy, resulting in lower GDP, stock market volatility, and changes in commodity prices and the USD/IDR currencies.Understanding the relationships between these variables is critical for investors and policymakers trying to navigate the uncertain economic environment created by the pandemic.

Literature Review
Cryptocurrency, described in a study titled "Cryptocurrency Analysis of Indonesian Market Educational Institutions" by Widyastuti & Hermanto (2021), uses strong cryptography to avoid central banking and digital currency systems to secure financial transactions, regulate the creation of new units, act as a medium of exchange, and validate wealth transfers.To summarize, the fundamental idea of Bitcoin is a decentralized, no-third-party verification using the concept of digital signatures for each transaction, originally outlined in Satoshi Nakamoto's Bitcoin whitepaper Muriant (2015).Gold has two important roles, as a hedge against inflation and as a long-term strategic investment.This makes gold price volatility a concern for various stakeholders, including policy makers, investors, financial institutions and central banks.The price of gold tends to rise every year and is considered a lowrisk investment.This could influence the stock price movements as investors may consider switching their investments to gold commodities (Syahri & Robiyanto, 2020).
According to Kyriazis (2022), Bitcoin has a long way to go before it can be considered a safehaven asset like gold.However, the study discovered that although having some characteristics with traditional assets, Bitcoin is an excellent hedging asset in portfolios containing gold.Furthermore, research shows that gold is a better and more reliable safe-haven investment than Bitcoin.A research conducted by Maghrebi and Abid (2021) identifies that investors can replace gold in their investment portfolio with cryptocurrencies assets such as Bitcoin, Litecoin, and Dash .Although gold is traditionally seen as a safehaven asset, digital money appears to be emerging as a new type of safe-haven value in a dangerous climate.

Figure 2.2 Oil Reactions to Crisis Event (Monthly Timeframe)
Crude oil is one of the most important commodities in the world.Its price fluctuations have a significant impact on global economic growth, inflation, trade balances, and fiscal and monetary policy decisions.The importance of oil to the global economy is reflected in high levels of investment and attention to oil exploration, extraction and production.An exchange rate is an important economic indicator that influences the international trade and investment.A country's exchange rate affects that country's imports and exports, which in turn affects economic growth.Exchange rates are determined by supply and demand factors in the foreign exchange market, which are influenced by various macroeconomic variables such as inflation, interest rates, and political stability.Exchange rates can also be influenced by the government in various ways.The nature of government intervention in the foreign exchange market determines alternative exchange rate regimes, and these regimes have different effects on the economy (Koroma et al., 2023).
A research conducted by Almansour et al. (2020) shows that there is a positive but not significant association between USD/EUR and Bitcoin returns, whereas negative correlations between USD/JPY, USD/GBP, and USD/AUD and Bitcoin returns were discovered.A research conducted by Mallick and Mallik (2021) was studying the connection between cryptocurrencies and official Indian foreign exchange rates; It reveals that the Indian foreign currency exchange rates (ICX) has no significant relationship to cryptocurrencies.

Methodology
This study is a quantitative study aimed at examining the influence between the price of gold, the price of crude oil, the US Dollar against Indonesian Rupiah currencies, and Bitcoin price.This study examines data collected by Investing.comusing a time series data analysis approach.Daily data were collected from January 2018 to December 2022.This data will be examined by using descriptive statistics and Augmented Dickey-Fuller Unit Root Test in order to identify the influence between the price of gold, the price of crude oil, exchange rate (USD/IDR), and Bitcoin.Stata software will be used in this study in order to process the data that has been collected.This research will be conducted in ADCC/ GARCH Models.This model can explore opportunities for changing conditional correlations over time, tracking the dynamic response of investor behavior to news and innovation, as well as to identify how each the variables react to each other (Rajwani & Kumar, 2016).

Descriptive Statistics.
Descriptive statistics are essentially specific methods that help calculate, describe and summarize collected research data in a logical, meaningful and efficient way.Descriptive statistics are presented numerically in the manuscript and/or its tables or graphically in its figures (Vetter, 2017  According to descriptive statistics, the average return of gold price is 0.02968%, the lowest return of gold is -4.99% on March 2020 and the highest return of gold is 5.95% on July 2020, while the standard deviation value of 0.94448% is greater than the average value, which means that the data is well distributed.The return of crude oil averagedly -0.20478%, with a low return of of -305.97% on April 2020 and high return of 37.66% on May 2020, while the standard deviation value of 9.69027 is greater than the average value, which means that the data is well distributed.The exchange rate from US Dollar against Indonesian Rupiah shows an average return of 0.01104%, with the lowest return of -2.75% on March 2020 and the highest return of 4.57% on April 2020, while the standard deviation value of 0,39822% is greater than the average value, which means that the data is well distributed.Bitcoin shows the mean value return of 0.10295%, with the lowest return is -37.17% on March 2020 and the highest return is 18.746% on April 2020, while the standard deviation value of 4.15866% is greater than the average value, which means that the data is well distributed.The Augmented Dickey-Fuller (ADF) test or Augmented Dickey-Fuller Unit Root Test is used to identify time series to test whether a time series has a unit root, which indicates that the time series is not stationary and has a trend that can cause unreliable results in statistical analysis.The P value shows that all variables have the value of 0 (P < 0.05), which indicates that the time series is high-likely to be stationary.It means that the variables of gold price, crude oil price, the US Dollar against Indonesia Rupiah currencies, and Bitcoin don't have consistent trend or pattern over time.Therefore, a time series analysis will be conducted on this research.2020 it shows an significant increaased , and stabilized until at the end of 2022.The Bitcoin standard deviation shock to gold prices from 2018 to 2019 period as charted is significantly stable, then increases steadily to become positive and remains stable through the 2022 period.The Bitcoin standard deviation shock to crude oil prices remained stable during 2018, but at the end of 2019 it was significantly increased to a positive position when preparing to enter 2020, it continue to be stable until 2022.

ADCC-GARCH Analysis, Time-Varying Asymmetric Dynamic Conditional Correlation, and Simple Linear Regression Analysis
In addition, we could also see and conclude how volatile the variable on this research when the Covid-19 strikes, and affectting each variables behavior, However after the Covid-19 pandemic, we could see the figure above that all variables are remain stable.The value of R-Squared on the linear regression analysis of gold, crude oil, and USD/IDR to the Bitcoin is 0.0173 (1.73%), indicating that about 1.73% of the Bitcoin performance can be explained by price changes in gold, crude oil, and the US Dollar against Indonesian Rupiah, while 98.27% may be influenced by variables that are not considered in this study.
The result on table 4.3.2shows that Bitcoin is positive correlated gold prices, crude oil prices, and the USD/IDR exchange rates.The P value of gold and crude oil on table 4.3.3 are lower than 0.05 (P < 0.05), which indicate that there is a significant relationship between gold and crude oil price to Bitcoin.However, the US Dollar against Indonesia Rupiah exchange rate variable in table 4.3.3indicates the P value higher that 0.05 (P > 0.05).It means that the US Dollar against Indonesia Rupiah exchange rate doesn't have a significant relationship to the Bitcoin.
The gold price seems to be the most stable in terms of averages against Bitcoin compared to crude oil prices against Bitcoin.Table 4.3.2illustrates that the Gold variable shows a positive correlation to Bitcoin, in addition Table 4.3.3shows a results that gold price does have a significant relationship to Bitcoin.Kayral et al. (2023) explains that Bitcoin is rather a diversifier during times of stress or uncertainty for investors and an effective hedging tool during stable times, which also similar to gold as an effective hedge and diversifier during the pandemic.In addition, Barson et al. (2022) describes that gold offers safety value and diversification benefits, but Bitcoin also serves as a safe haven and diversification for most cryptocurrencies across diverse investment horizons.2021), which describe that there is no significant relationship between Indian foreign currency exchange rates (ICX) and cryptocurrencies..However, a research conducted by Dumitrescu et al. (2023) discovered that an increase in the price of Bitcoin leads to an appreciation of the currencies, whereas during the COVID-19 pandemic, the relationship reversed.The Indonesia Rupiah currency rates depreciated up to 23.55%.As a result, rather of retaining fiat currency, some investors will allocate their resources by diversifying to more stable assets, such as Gold or Bitcoin as a safe have assets.

Conclusion & Recommendations 5.1 Conclusion
The emerging COVID-19 pandemic around the world has caused many countries to experience a financial crisis.This has caused great concern in investing in cryptocurrency market and it is interesting to observe an alternative investment assets.Using the ADCC-GARCH model, this study examines the asymmetric dynamic correlation between Bitcoin against Gold, Crude Oil, and The USD/IDR currencies.From the results, it is found that gold does have a positive correlation and significant relationship to Bitcoin.
The result shows that crude oil shows a positive correlation and has a significant relationship to Bitcoin.
The result shows the USD/IDR has a insignificant relationship to Bitcoin, however it is found that Bitcoin is positive correlated to the USD/IDR.If the US Dollar is strengthening, the Indonesian Rupiah currencies will be depreciated, resulting a negative performance on the Bitcoin.Furthermore due to the depreciation of fiat money which is the USD/IDR currency rate, investor are most likely will do a hedging and diversifying strategy their portfolio asset to either Gold or Bitcoin as a safe haven assets.

Recommendations
These results can be used as a reference for the government to assess financial strategies and risks related to gold, oil and exchange rates to stabilize any conditions occurring domestically or globally .Furthermore, the results of this study are also useful for investors as a diversifying strategy on their portfolios assets, especially if the crisis occurs again.In addition, this study can be used as a reference for further research activities related to gold, crude oil, local exchange rates and Bitcoin.Since Bitcoin as a cryptocurrency is used in this research, further research should be conducted on other cryptocurrency assets such as Ethereum, Binance, Ripple, Litecoin, and other cryptocurrency assets.

Figure 2 . 1
Figure 2.1 Gold Reactions to Crisis Event (Monthly Timeframe)

A
research conducted by Kaabie et al. (2020) discovered a direct positive relationship between Bitcoin and all crude oil prices, with crude oil prices remaining sensitive to any shift in Bitcoin prices.As a result, a Bitcoin crisis would have an impact on the whole energy business.In addition, a research conducted by Heikal et al. (2022) also discovered that changes in crude oil prices have a positive impact on cryptocurrency return.

Figure 4 .
Figure 4.3.1 shows that the standard deviation shock of Bitcoin to the US Dollar against Indonesia Rupiah currencies significantly stable during 2018 to 2019, however in between the end of 2019 and entering

Table 4 .
3.2  shows that there is a positive correlation between crude oil and Bitcoin.Table4.3.3   shows that there's a significant relationship on crude oil to Bitcoin.It is supported by a research conducted by Heikal et al.(22) that the price changes crude oil shows a significant relationship to cryptocurrency return.In addition, Ren et al. (2022) with the research entitled "Dynamics of the sheltering role of Bitcoin against crude oil market crash with varying severity of the COVID-19: A comparison with gold", described that The Bitcoin-oil price relationship shows a gradual drop as the severity of the COVID-19 pandemic increases, indicating that Bitcoin serves as an increasingly enhanced safe haven for oil market crashes as the severity of the pandemic increases.

Linear Regression of Gold, Crude Oil, USD / IDR, and Bitcoin The
Time-Varying Asymmetric Dynamic Conditional Correlation on table 4.3.2above represent the relationship between different variables changes over time, especially during market fluctuations.The Linear Regression analysis on table 4.3.3describes the relationship between gold, crude oil, the Indonesian Rupiah currencies, and Bitcoin.

Table 4 .
3.2shows that there is a positive correlation between the US Dollar against Indonesia Rupiah exchange rate to Bitcoin.However, table 4.3.3showsthat there's an insignificant relationship on the US Dollar against Indonesia Rupiah to Bitcoin.It is supported by a research conducted byMallick & Mallik  (